A teacher once told me, Photoshop's real strength is not in any of it's editing tools, but rather in it's robust selection engine. In truth, if you can't select something to manipulate, then how do you expect to manipulate it?

Alpha Channels are saved selections within Photoshop, classically used to separate a background from a foreground. Some file formats(.tga, .psd) naturally may incorporate an alpha channel, or the ability to save an alpha channel into their compression, but it's always good to know how to create one yourself. This tutorial will explain a few different selection techniques while creating an alpha channel.

Here's the image we're going to use:

Before doing the tutorial: In your 3d program. Set your background color as something drastically different from any color in your image, if possible. The "hot magenta" or "green screen" colors work well.* Render out your 3d piece to a bitmap format, preferably not a targa file (.tga) so you're not cheating, since usually targas will prompt you if you want an alpha channel, and that takes all the fun away.

First things first, you need to decide what you need to select, and what you're going to do with it. In the case of an Alpha Channel, we want to select the background so that we can separate it from the rest of the image, and easily manipulate it at any time. The background in this picture is all the lightlightlight blue.

*The reason my background color is not drastically different is because of two reasons:
1: I'm no fun and used a Targa file format to skip all this (this is an offshoot of the Post tutorial)
2: I'm a stupidhead.

The EASY way to select the background:

There's always an easy way out, and this is it:

Go to Select > Color Range

This will allow you to select all the pixels of a certain color range in your piece.

A: Use this tool, similar looking to the standard eyedropper to sample the color you want to select.

B: This is a good sampling area.

C: Adjust the fuzziness slider to widen or narrow the selection set. Adjust this until only the background, but as much of the background as possible, shows up as 'white' in the preview window.

Click "OK" when you're ready and you'll see the selection on your piece, just waiting to be saved.

Open your Channels Palette (found under Window>Show Channels, if it's not already open) and click on the "New Channel"
Icon. This creates a new channel, called "Alpha 1" by default. Your image will also turn black, by default, but you'll still see your selection marquee.

Now all you have to do is click your paint bucket tool and fill the selection with white, or go to Edit>Fill and select white, 100% opacity. Click on the RGB Channel, and you're image will pop back up again.

When you save your image, you should save in the native Photoshop format (.psd) to preserve the alpha channel, and any other saved selections you might have.

More EASY ways to select stuff:
In a situation like the one above, it might be best use other methods of selection. All of the selection methods, no matter how easy or advanced, have their goods and bads, so choose carefully.

Magic Wand

The most common method of selecting large areas, the Magic Wand can do easily as good as a job as the "Color Range" method, if you tweak the tolerance enough. Otherwise you'll end up with a "fringe" along the outside of your selection, as shown in the picture. The Magic Wand also falls short on smaller, more precise selections.

Lasso, Magnetic Lasso, and Polygonal Lasso

The Lasso Tool is effective when used with the SHIFT and ALT buttons, but is time consuming, and aggravating if you're impatient.

The Polygonal Lasso Tool is handy for a very geometric shape, or a shape with geometric elements. Holding ALT while using this switches temporarily to the regular lasso.

The Magnetic Lasso Tool is effective when working on an image with high contrasting edges. Selecting the background out of the image above is easy since the background is so light, and the lego fort so dark.

Like the Magic Wand, if you're reading this, you're probably already familiar with the Lasso toolest.

The Lasso tools are the most basic selection tools aside from the "shape selection toolset". Each one is used for a little different purpose.

The downside of all of them is that they are time consuming, and also can't partially select pixels.

Similar

By selecting a small area only of the color you want, you can then go to select>similar to add all areas of similar color to
the selection. "Similar", like most of Photoshop's tools, works off of the basis of luminosity. This means you can easily pick up other colors too if you're not careful. In this case, using similar leads to the Legoman's shirt being partially selected.

There are plenty of other ways to select stuff, some much more advanced than the ones listed above, but those are for another tutorial.